Stochastic volatility Gaussian Heath-Jarrow-Morton models (Q4672758): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/1350486042000231902 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2045477879 / rank | |||
Normal rank | |||
Revision as of 20:47, 19 March 2024
scientific article; zbMATH DE number 2164111
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic volatility Gaussian Heath-Jarrow-Morton models |
scientific article; zbMATH DE number 2164111 |
Statements
Stochastic volatility Gaussian Heath-Jarrow-Morton models (English)
0 references
3 May 2005
0 references
term structure of interest rates
0 references
stochastic volatility
0 references
continuous time Markov chains
0 references
piecewise-deterministic Markov processes
0 references
